ENH: Pass calendar instance to BcolzMinuteBarWriter (#1406)

* First pass.

* Improvements and fixes

- Update usages of BcolzMinuteBarWriter
- Updates with rebuilt example data
- Expose calendar from BcolzMinuteBarMetadata instead of calendar_name
- Keep market_opens and market_closes in metadata for compatibility

* Store start_session and end_session in minute bcolz metadata

- start_session replaces first_trading_day
- Add end_session to limit to correct days

* For last_available_dt, get last close from calendar to maintain tz

* Bumps version and handles earlier versionson read

* Rebuilt example data on python 3

* Indicate metadata fields that are deprecated
This commit is contained in:
Andrew Daniels
2016-08-18 15:41:26 -04:00
committed by GitHub
parent ab1b485393
commit 37e6a48e99
7 changed files with 146 additions and 117 deletions
+3 -3
View File
@@ -80,10 +80,10 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
self.dest = self.instance_tmpdir.getpath('minute_bars')
os.makedirs(self.dest)
self.writer = BcolzMinuteBarWriter(
TEST_CALENDAR_START,
self.dest,
self.market_opens,
self.market_closes,
self.trading_calendar,
TEST_CALENDAR_START,
TEST_CALENDAR_STOP,
US_EQUITIES_MINUTES_PER_DAY,
)
self.reader = BcolzMinuteBarReader(self.dest)